For reason of empirical tractability, analysis of cointegrated economic time series is often developed in a partial setting, in which a subset of variables is explicitly modeled conditional on the rest. This approach yields valid inference only if the conditioning variables are weakly exogenous...

In recessions, the number of defaulting firms rises. On top of this, the average amount recovered on the bonds of defaulting firms tends to decrease. This paper proposes an econometric model in which this joint time-variation in default rates and recovery rate distributions is driven by an...

This paper explores the effects of shifts in interest rates on corporate leverage and default. We develop a dynamic model in which the relationship between firms and their outside financiers is affected by a moral hazard problem and entrepreneurs' initial wealth is scarce. The endogenous link...

"Model uncertainty hampers consensus on the key determinants of economic growth. Some recent cross-country, cross-sectional analyses have employed Bayesian Model Averaging to address the issue of model uncertainty. This paper extends that approach to panel data models with country-specific fixed...

Total Factor Productivity (TFP) accounts for a sizable proportion of the income differences across countries. Two challenges remain to researchers aiming to explain these differences: on the one hand, TFP growth is hard to measure empirically; on the other hand, model uncertainty hampers...

This paper analyzes the most important determinants of healthcare efficiency across OECD countries. As previously documented in the literature, we first provide evidence of significant differences in the cross-country level of efficiency in healthcare provision. We then investigate how...

This paper tests the opportunity-cost theory on the long-run effects of business cycles using a panel of Spanish firms during the period 1991--2010. Under this theory, the <italic>share</italic> of productivity-enhancing activities (PEAs), such as R&D investment or on-the-job training, relative to production...

This article discusses the likelihood-based estimation of panel data models with individual-specific effects and both lagged dependent variable regressors and additional predetermined explanatory variables. The resulting new estimator, labeled as subsystem limited information maximum likelihood...